Warning: SPOILERS for Avengers: Infinity War are ahead! If you haven't seen the movie yet and don't want to know major plot details, bookmark this page and come back once you're ready.
Even before Thor was officially introduced to the Marvel Cinematic Universe in 2011, the God of Thunder's trusty hammer, Mjolnir, was on our radar, as the Iron Man 2 post-credits scene showed S.H.I.E.L.D. agent Phil Coulson finding the weapon in the New Mexico desert. For more than half a decade, we watched Thor wield Mjolnir in battle against Frost Giants, the Chitauri, Dark Elves and Ultron drones, and then Hela had to go and destroy the hammer in Thor: Ragnarok. Thankfully, this led to Thor finally gaining full control over his lightning abilities, but to kill Thanos in Avengers: Infinity War, those wouldn't be enough. To that end, Thor traveled with Rocket Raccoon and Groot to Nidavellir to forge the war hammer/axe Stormbreaker, a weapon that's existed in the Marvel Comics universe for many years, albeit in the hands of a different character.
Introduced in 1983's Thor #337, Beta Ray Bill is a Korbinite who briefly wielded Mjolnir after he defeated Thor in combat (this was back when if Thor was separated from Mjolnir for more than a minute, he would revert back to his human form, Dr. Donald Blake). When Odin learned that Bill was worthy enough to lift Mjolnir, the All-Father had Thor and Bill fight once more in the fiery realm known as Skartheim to determine who would wield the hammer permanently. Bill won again because he was more resistant to heat, but he saved Thor from being incinerated, and afterwards he reconsidered keeping the hammer, despite needing it to protect his people.
Seeing Beta Ray Bill's good intentions, Odin commissioned that Stormbreaker be forged for him made from the same uru metal that makes up Mjolnir. Bill had already been cybernetically augmented by the surviving members of his species, but with Stormbreaker, Bill was not only granted abilities similar to the ones Thor has (flight, electricity projection, being able to recall the hammer to his hand), but upon slamming the hammer on the ground, Bill could transform back into his original Korbinite form, as Thor was once able to do with his Donald Blake persona. While there have been a few times in the years since that Beta Ray Bill, it's remained his faithful weapon.
If you look closely during Thor: Ragnarok, you'll see that Beta Ray Bill is one of the faces sculpted on the side of Grandmaster's palace, and while a full Bill appearance was cut from the movie, Marvel Studios president Kevin Feige has implied he might still be introduced somewhere down the line. However, for Avengers: Infinity War, Stormbreaker was made specifically for Thor, as even once Thanos obtained the six Infinity Stones, the hammer was the only weapon that could still be capable of harming the villain.
Just like in the comics, the dwarf Eitri (played by Peter Dinklage) oversaw Stormbreaker's creation, although because Thanos took Eitri's hands after he made the Infinity Gauntlet, he relied on Thor and Rocket's help with forging the hammer. Thor died during the process due to taking the full blast of a dying star, but thanks to Groot chopping off his own arm and turning it into Stormbreaker's replacement handle, Stormbreaker became fully powered and revived the God of Thunder.
In addition to boasting many of the same abilities as Mjolnir, Stormbreaker also allows Thor to channel the power of the Bifrost unassisted, meaning he no longer needs to rely on others to transport him across the universe. That's most fortunate, because if Thor hadn't arrived on Wakanda when he did, the Avengers and Wakandan warriors would have lost the battle against Thanos' Outriders. Later on, Thor was able to strike a damaging blow to Thanos, but as the Mad Titan pointed out, he should have aimed for the head, because Thanos was still able to wipe out half of life in the universe with the snap of his fingers. Thor managed to survive Avengers: Infinity War and still possesses Stormbreaker, so while we don't know yet what's coming up in Avengers 4, I imagine that the war hammer will come in handy to kill Thanos once and for all.
We'll see what's in store for Thor and the rest of the surviving MCU heroes when Avengers 4 is released on May 3, 2019. In the meantime, you can read CinemaBlend's review of Avengers: Infinity War and keep checking in for continuing coverage on the latest Marvel blockbuster and the future of the MCU. If you're interested in learning what non-Marvel movies are coming out later this year, look through our 2018 release schedule.